Expansions and penultimate distributions of maxima of bivariate normal random vectors

It is well known that the marginal maxima of n standard normal random vectors with correlation coefficient ρ<1 are asymptotically independent. In this article, the residual dependence will be captured by asymptotic expansions and certain penultimate distributions including the case where ρ(n)↑1 at a certain rate.

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Year of publication:	2013
Authors:	Frick, Melanie ; Reiss, Rolf-Dieter
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 11, p. 2563-2568
Publisher:	Elsevier
Subject:	Multivariate extreme analysis \| Limiting distribution \| Residual dependence \| Expansion \| Penultimate distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011040084